The first time I watched a true crime documentary it scared the crap out of me. I was eight, I think, and it was about Jack the Ripper. I watched it in a small dark smokey lounge in the back of a funeral home with some other kids of similar age and then had to run out to the car alone probably around 10:30pm or so.
Strangely enough, this is often the exact other way around for me, but it heavily depends on the true crime documentary. Horror movies, for the most part, leave me apathetic. My brain has problems to suspend disbelief for them - especially when they rely on supernatural elements. So many horror movies are more enjoyable surreal films, while reading or hearing about truly horrible events in real life can disturb me quite a lot sometimes.